Nordic hedge funds grew in past year – OE Capital research

By: Jonathan Boyd | 02 Nov 2011

Stockholm based OE Capital’s annual report into the Nordic hedge fund market has been published, showing that the number of funds and average AUM have grown, while offering better return for less risk than regional stock markets.

Outperformance in the period covered by the report – 1 January 2007 to 31 August 2011 – was 33% compared to the same investment in Nordic stock markets, and with a fifth of the risk – or volatility of 4.5%

All hedge fund strategies produced positive returns at a time when the Swedish stock market fell 3% and Nordic stock markets overall fell 13%.

The best performing strategy was Managed futures/ CTA, which returned 42% over the period, OE Capital writes.

Strategy

Return

Volatility

Sharpe

Number of positive months

Best month %

Worst month %

Six return index

-2.8

21.7

-0.6

54%

21.7

-17.8

VINX SEK GI

-12.8

20.9

-1.1

50%

18.2

-18.9

OMRX T-Bill

9.9

0.5

0

98%

0.5

0

L/S Equity Nordic

10.4

6

0.1

59%

3.9

-4.7

L/S Equity

1.5

7.2

0.2

52%

4.1

-5.5

Equity long only

1

15.3

0.4

52%

14.9

-11.8

Managed futures

41.6

11.2

0.4

55%

8.7

-6.1

Multi strategy

2.7

5.8

-0.8

54%

3.2

-5.2

Mulit manager

5.8

3.9

-2

63%

2

-3.8

Fixed income

25.2

8.2

1.3

75%

5.2

-9.5

Global macro

33

4.2

2.3

66%

3.3

-2.8

Equity weight all strategy

20.48

4.5

0.8

61%

3.51

-3.36

Source: OE Capital

Although the industry is some way off its historic AUM peak of SEK317bn (€35bn), the overall AUM still increased over the past year by some SEK24bn to SEK203bn (€22.4bn). Of this, the single biggest provider has a market share of 55%.

The median value of a fund in the region has increased to SEK336m (€37m) from SEK256m (€28m) a year earlier.

Of the 208 funds in OE Capital’s database, 72% have assets of less than SEK650m (€72m). Five funds in OE Capital’s database have more than SEK6.5bn (€716m) under management.

Sweden is the dominant hedge fund market in the region, the figures show.

Hedge funds by country

Share

Sweden

67%

Finland

12%

Norway

10%

Denmark

9%

Other

2%

Liquidity has improved, the report states. 25% of the funds covered by OE Capital’s database offer daily trading, which is an increase on the 19% figure achieved last year.

Of the new funds launched over the period since 1 January, 71% offer daily liquidity. Since the last report was published in 2010, 21 new funds have been launched and 12 closed.

The median minimum investment is SEK100,000 (€11,000). However, the median minimum investment of funds launched in the past year is just SEK1,000. What has not changed is the typical charging structure, consisting of a 1% management fee and 20% performance fee.